A typical DAX trading desk
DAX
This is a typical example of a desk for a EUREX market making the DAX, we see an option Window which where the theoretical
price + some Greeks are calculated as the DAX future changes. At the same time the 'smile' is calculated in real-time for
the complete expiration, and the market maker can by double-clicking on the option on the graph trade this immediately.
For information purposes a '1-min' candlestick chart of the future is shown. yet another window called inspector shows the
user his theoretical assumptions which forms the basis for the calculations.
Market Explorer
The Market Explorer is the command center of the program. The group of users that are allowed to edit in the settings of
the financial instruments have access to all the settings in this window. All changes which are performed will in real time
be made available to all other users in the organization which subscribes to those changes. This means that the user can
both have his own personalized set of settings or subscribe to a group of settings, thus minimizing the adjustment of the
system. The editing for all the instruments. by drag'n'drop instruments are easily configured as are the desks. By marking
several instruments changes can be applied fast and efficient.
Zero coupon yield curves
Multiple yield curve scenarios
The system can handle multiple yield curves for each currency these can be maintained manually or automatic by downloading
chains from an information vendor. If a user maintains the curves manually, all changes will be broadcasted to other user
that subscribes to this particular yield profile.
A combination of vendor fetched yield-curves and manually is handled by the use of offsets. this enables the use to add
his own view and at the same time omit the use for manual updates of the curves.
If used in automatic mode, the curves are maintained by timed request ranging from real-time to every week.
Currencies are maintained manually or by downloading from an information Vendor. Cross rates can be calculated by
Zonar or downloaded.
Graphs
Zonar contains an extensive graphics library, both 2D and 3D (OpenGL) which is completely real-time based and used in the
following modules:
- Market module: Technical analysis, comparison- and volatility graphs.
- Option module: Real-time Smile-curves, with node point manipulation
- Portfolio: Result- and Risk graphs
Risk Graph
Risk Graph in 3D
Info pages
The Zonar system can connect to a variety of sources simultaneously. This could be a trading gateway, information system
or web site. In any case the information which are exposed from this source will be presented as close to the original as
possible.
In the example below, Zonar is connected to Reuters utilizing the API to present and format the information correctly.
Reuter pages
Fully configurable with tabs, fonts.
News
Intelligent caching on server, indexing on products, topics and free-text in SQL-server gives instant reply, news and news
bodies are saved historically (if permission exist from vendor). Indication of whether news is already read and or cached.
Historical graphs
Technical analysis on both historical graphs and real-time graphs which is stored on server + a local interim cache which
enables instant switching of graphs.
Volatility
Volatility is probably the most important risk measure when handling derivates- or the one that has the greatest impact,
if this is not adjusted correctly. In Zonar volatilities can be handled in a variety of ways - the most intuitive being
graphically.
The smile function in Zonar is used to define a volatility structure which reflects the volatility smile or skew. The volatility
structure can be defined for each underlying asset and expiration month. The definition of the structure is based upon a
number of parameters. It can be real-time based and uses a very precise algorithm - 4th degree polynomial - to calculate
the skew.
By clicking in either the bid or ask on the graph an order goes directly to the market for execution. Your expectations
can be entered directly by dragging on the node points in the graph.
Below volatility graph showing several skews for different exp. months.
Speech
Zonar makes extensive use of a Speech API, in this version 'only' 1-way, but as this technology mature with blue-tooth and
recognition this will be implemented, the foundation is there already.
Zonar uses the speech API in these modules:
- Alerts. example: Alert in Microsoft, bid higher than 60, trading at Trading 61: when you are hit or taken in quoting
and when a transaction is done
- Security: Breech of security policies
- Errors: If you loose connectivity to the exchange or server
- News: Important news for specific markets.
When to 'speak' up these events is fully configurable apart from 'errors' module.
Dynamic windows
A very important feature in Zonar is the possibility of using Dynamic windows. The background for implementing this is that
the dealer/trader needs within a split-second to have all available information about a financial instrument.
This desk Dynamic shows how a typical user would design his desk a utilize this feature.
The following windows are made dynamic:
- 2-D charts. Both real-time and historic.
- Order depth Levels depending on Vendor, i.e.. Reuters
- Transaction Shows outstanding orders and deals
- News Both today or longer period (filter option)
- Option and futures
- Portfolio Results/risk in this asset
The spot Window is the master, if the user clicks in either a bid or ask all other windows will change to this asset, by
use of intelligent caching techniques all the content of the windows changes immediately.
Same window after a 'click' on Pharmacia in the Spot-window
